I get this warning for several packages every time I install any package or perform apt-get upgrade. Not sure what is causing it; it's a fresh Debian install on my OpenVZ server and I haven't changed any dpkg settings.

Above answer didn't worked for me completely.
Couple of packages, namely libc6, were still showing this error.

I found a solution on one forum. Bug is that new version of libc didn't echoed list of files to correct file. Instead of echoing it to /var/lib/dpkg/info/libc6:amd64.list it echoed it to /var/lib/dpkg/info/libc6.list

It can be fixed by running (adjust for your latest version and arch of libc6):

Not enough rep to comment:
@exic / @mark, I found that it uses a backtick at the beginning of the package name and a quotemark afterward, thus different punctuation needs to be checked. I'm not sure if this was related. My solution: